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forex & stock trading

By Francis_chia

Forex · Started Oct 2008

hypothetical · Annual Return (Compounded)
1.5%
Max Drawdown
31.2%
Trades
178
Win Trades
69.7%
Profit Factor
1.30
Win Months
1.4%

About this strategy

Forex and stocks trading system made profit from following a discipline trading strategy.
We make our decision based on technical analysis.

Our trade last during the day or minutes. It can be a few minutes or a few hours.
We have a entry price for a particular currency pair.
Exit signals will be based on real-time.

Active subscriber should be trading and watch for signals for minmum 5 hrs.
Our real is based on real-time.

Trading time usually start at Singapore time 8pm.
However trade can be taken at the end of the day, at Singapore time 3am or 4am.

We will not trade, when there is no good opportunity exist. We prefer to stay out of the market most of the time, that why our trade usually last during the session of the market.

Subscriber, who can follow our signals and be discipline in trading, can be sure that their monthly trading profit will be able to cover their subscription fee.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20083.048.212.371.3
2009-22.6-0.0-0.0-0.00.0-0.4-0.30.0-0.2-0.00.00.0-23.5
20100.00.00.00.00.00.00.00.00.00.00.0-0.3-0.3
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began10/3/2008
Suggested Minimum Capital$100,000
Age219 months
What it tradesStocks, Forex
# Trades178
# Profitable124
% Profitable69.7%
Avg trade duration3.7 hours
Max peak-to-valley drawdown31.2%
drawdown periodJan 16, 2009 - Dec 20, 2010
Annual Return (Compounded)1.5%
Avg win$1,508
Avg loss$2,741

Ratios

W:L ratio1.26
Sharpe Ratio0
Sortino Ratio0
Calmar Ratio0.09

CORRELATION STATISTICS

Correlation to SP5000.02
Return Percent SP500 (cumu) during strategy life594.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-560.5%

Return Statistics

Ann Return (w trading costs)1.5%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.8%

Slump

Current Slump as Pcnt Equity45.4%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.7%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks0.3%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$2,741
Avg Win$1,508
# Winners124
Sum Trade PL (losers)$148,023
Sum Trade PL (winners)$187,051
Num Months Winners6
# Losers54
% Winners69.7%

Dividends

Dividends Received in Model Acct-440

Age

Num Months filled monthly returns table216

Frequency

Avg Position Time (mins)222.03
Avg Position Time (hrs)3.70
Avg Trade Length0.20
Last Trade Ago6446

Regression

Alpha0
Beta0.01
Treynor Index0.01

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.09
MAE:Equity, average, losing trades0.03
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades18.56
MAE:PL (avg, all trades)0.80
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats46.15
MAE:PL - Winning Trades - this strat Percentile of All Strats62.22
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.04
Avg(MAE) / Avg(PL) - Losing trades-1.17
Hold-and-Hope Ratio0.05

RATIO STATISTICS

Mean0.06
SD0.31
Sharpe ratio (Glass type estimate)0.21
Sharpe ratio (Hedges UMVUE)0.20
df67
t0.49
p0.31
Lowerbound of 95% confidence interval for Sharpe Ratio-0.62
Upperbound of 95% confidence interval for Sharpe Ratio1.03
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.62
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.03
Sortino ratio0.55
Upside Potential Ratio1.17
Upside part of mean0.13
Downside part of mean-0.07
Upside SD0.28
Downside SD0.11
N nonnegative terms60
N negative terms8
N of observations68
Mean of predictor0.38
Mean of criterion0.06
SD of predictor0.28
SD of criterion0.31
Covariance-0.01
r-0.16
b (slope, estimate of beta)-0.17
a (intercept, estimate of alpha)0.13
Mean Square Error0.09
DF error66
t(b)-1.28
p(b)0.90
t(a)0.93
p(a)0.18
Lowerbound of 95% confidence interval for beta-0.44
Upperbound of 95% confidence interval for beta0.10
Lowerbound of 95% confidence interval for alpha-0.15
Upperbound of 95% confidence interval for alpha0.40
Treynor index (mean / b)-0.37
Jensen alpha (a)0.13
Mean0.03
SD0.25
Sharpe ratio (Glass type estimate)0.11
Sharpe ratio (Hedges UMVUE)0.11
df67
t0.26
p0.40
Lowerbound of 95% confidence interval for Sharpe Ratio-0.71
Upperbound of 95% confidence interval for Sharpe Ratio0.93
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.72
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.93
Sortino ratio0.22
Upside Potential Ratio0.83
Upside part of mean0.10
Downside part of mean-0.08
Upside SD0.22
Downside SD0.13
N nonnegative terms60
N negative terms8
N of observations68
Mean of predictor0.34
Mean of criterion0.03
SD of predictor0.27
SD of criterion0.25
Covariance-0.01
r-0.14
b (slope, estimate of beta)-0.13
a (intercept, estimate of alpha)0.07
Mean Square Error0.06
DF error66
t(b)-1.16
p(b)0.88
t(a)0.65
p(a)0.26
Lowerbound of 95% confidence interval for beta-0.36
Upperbound of 95% confidence interval for beta0.10
Lowerbound of 95% confidence interval for alpha-0.15
Upperbound of 95% confidence interval for alpha0.30
Treynor index (mean / b)-0.21
Jensen alpha (a)0.07
VaR(95%)0.11
Expected Shortfall on VaR0.14
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0.09
SD0.35
Sharpe ratio (Glass type estimate)0.25
Sharpe ratio (Hedges UMVUE)0.25
df1502
t0.60
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.57
Upperbound of 95% confidence interval for Sharpe Ratio1.07
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.57
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.07
Sortino ratio0.39
Upside Potential Ratio1.88
Upside part of mean0.42
Downside part of mean-0.33
Upside SD0.27
Downside SD0.22
N nonnegative terms1438
N negative terms65
N of observations1503
Mean of predictor0.46
Mean of criterion0.09
SD of predictor0.44
SD of criterion0.35
Covariance-0.01
r-0.05
b (slope, estimate of beta)-0.04
a (intercept, estimate of alpha)0.11
Mean Square Error0.12
DF error1501
t(b)-1.94
p(b)0.53
t(a)0.72
p(a)0.49
Lowerbound of 95% confidence interval for beta-0.08
Upperbound of 95% confidence interval for beta0.00
Lowerbound of 95% confidence interval for alpha-0.18
Upperbound of 95% confidence interval for alpha0.39
Treynor index (mean / b)-2.20
Jensen alpha (a)0.11
Mean0.03
SD0.35
Sharpe ratio (Glass type estimate)0.08
Sharpe ratio (Hedges UMVUE)0.08
df1502
t0.19
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.74
Upperbound of 95% confidence interval for Sharpe Ratio0.90
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.74
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.90
Sortino ratio0.11
Upside Potential Ratio1.57
Upside part of mean0.39
Downside part of mean-0.36
Upside SD0.24
Downside SD0.25
N nonnegative terms1438
N negative terms65
N of observations1503
Mean of predictor0.37
Mean of criterion0.03
SD of predictor0.44
SD of criterion0.35
Covariance-0.01
r-0.05
b (slope, estimate of beta)-0.04
a (intercept, estimate of alpha)0.04
Mean Square Error0.12
DF error1501
t(b)-1.91
p(b)0.53
t(a)0.29
p(a)0.50
Lowerbound of 95% confidence interval for beta-0.08
Upperbound of 95% confidence interval for beta0.00
Lowerbound of 95% confidence interval for alpha-0.24
Upperbound of 95% confidence interval for alpha0.33
Treynor index (mean / b)-0.70
Jensen alpha (a)0.04
VaR(95%)0.03
Expected Shortfall on VaR0.04
VaR(95%)0
Expected Shortfall on VaR0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.22
Mean of criterion0
SD of predictor0.48
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.10
Mean of criterion0
SD of predictor0.48
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.04
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations68
Minimum0.79
Quartile 11
Median1
Quartile 31
Maximum1.66
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.04
Inter Quartile Range0
Number outliers low8
Percentage of outliers low0.12
Mean of outliers low0.95
Number of outliers high6
Percentage of outliers high0.09
Mean of outliers high1.13
Extreme Value Index (moments method)2.41
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)1.78
VaR(95%) (regression method)0.00
Expected Shortfall (regression method)0
Number of observations1503
Minimum0.77
Quartile 11
Median1
Quartile 31
Maximum1.32
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.01
Inter Quartile Range0
Number outliers low65
Percentage of outliers low0.04
Mean of outliers low0.97
Number of outliers high75
Percentage of outliers high0.05
Mean of outliers high1.03
Extreme Value Index (moments method)2.09
VaR(95%) (moments method)-0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations2
Minimum0.17
Quartile 10.18
Median0.20
Quartile 30.21
Maximum0.22
Mean of quarter 10.17
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.22
Inter Quartile Range0.02
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations9
Minimum0.00
Quartile 10.00
Median0.14
Quartile 30.18
Maximum0.30
Mean of quarter 10.00
Mean of quarter 20.13
Mean of quarter 30.17
Mean of quarter 40.28
Inter Quartile Range0.18
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)-24.28
VaR(95%) (moments method)0.27
Expected Shortfall (moments method)0.27
Extreme Value Index (regression method)-2.27
VaR(95%) (regression method)0.36
Expected Shortfall (regression method)0.36
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-411202208
Max Equity Drawdown (num days)703
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.03
Compounded annual return (geometric extrapolation)0.03
Calmar ratio (compounded annual return / max draw down)0.13
Compounded annual return / average of 25% largest draw downs0.13
Compounded annual return / Expected Shortfall lognormal0.20
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.03
Compounded annual return (geometric extrapolation)0.03
Calmar ratio (compounded annual return / max draw down)0.09
Compounded annual return / average of 25% largest draw downs0.10
Compounded annual return / Expected Shortfall lognormal0.64
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 36 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
GBP/USD long1500Jan 18, 2009Jan 19, 2009($64,224)
GBP/AUD short300Jan 19, 2009Jan 19, 2009$576
GBP/AUD short1000Jan 19, 2009Jan 19, 2009$7,277
GBP/SGD long300Jan 18, 2009Jan 19, 2009($400)
GBP/USD long3700Jan 12, 2009Jan 16, 2009$24,724
AUD/USD long2000Jan 14, 2009Jan 14, 2009($9,960)
EUR/AUD long1000Jan 14, 2009Jan 14, 2009($3,432)
GBP/EUR short500Jan 13, 2009Jan 13, 2009$2,125
GBP/AUD short20Jan 13, 2009Jan 13, 2009($42)
EUR/AUD short10Jan 13, 2009Jan 13, 2009($12)
GBP/CHF short2000Jan 13, 2009Jan 13, 2009$9,714
GBP/SGD short300Jan 12, 2009Jan 12, 2009$400
GBP/SGD short500Jan 12, 2009Jan 12, 2009$865,987
AUD/USD short1000Jan 12, 2009Jan 12, 2009$740
GBP/SGD short300Jan 12, 2009Jan 12, 2009$519,569
EUR/AUD long1000Jan 12, 2009Jan 12, 2009$1,056
EUR/AUD long500Jan 12, 2009Jan 12, 2009$225
GBP/USD short1000Jan 12, 2009Jan 12, 2009($6,400)
GBP/USD long1000Jan 9, 2009Jan 9, 2009$640
GBP/USD short500Jan 9, 2009Jan 9, 2009$10
GBP/USD short1000Jan 9, 2009Jan 9, 2009$420
GBP/USD short400Jan 8, 2009Jan 8, 2009$2,449
GBP/USD long100Jan 8, 2009Jan 8, 2009($630)
EUR/AUD long100Dec 30, 2008Dec 30, 2008$322
GBP/USD long30Dec 29, 2008Dec 29, 2008($25)
EUR/AUD short50Dec 29, 2008Dec 29, 2008$231
EUR/AUD short100Dec 19, 2008Dec 19, 2008$1,212
EUR/AUD short510Dec 18, 2008Dec 19, 2008$7,267
GBP/USD long50Dec 16, 2008Dec 17, 2008($749)
EUR/AUD short1000Dec 17, 2008Dec 17, 2008$5,279

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.